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Segmentation Study of Foreign Exchange Market

In: Applied Data-Centric Social Sciences

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  • Aki-Hiro Sato

    (Kyoto University, Graduate School of Informatics)

Abstract

This chapter explains a recursive segmentation procedure under normal distribution assumptions. The Akaike information criterion between independently identically distributed Gaussian samples and two successive segments drawn from different Gaussian distributions is used as a discriminator to segment time series. The Jackknife method is employed in order to evaluate a statistical significance level. This chapter shows univariate and multivariate cases. The proposed method is performed for artificial time series consisting of two segments with different statistics. Furthermore, log-return time series of currency exchange rates for 30 currency pairs for the period from January 4, 2001 to December 30, 2011 are divided into 11 segments with the proposed method. It is confirmed that some segment corresponds to historical events recorded as critical situations.

Suggested Citation

  • Aki-Hiro Sato, 2014. "Segmentation Study of Foreign Exchange Market," Springer Books, in: Applied Data-Centric Social Sciences, edition 127, chapter 0, pages 203-219, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-54974-1_6
    DOI: 10.1007/978-4-431-54974-1_6
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